LOSSPR

Measure the probability of loss at throughout an investment horizon (first-passage time) or at the end of horizon.

Description

Probability of loss is a measure of the likelihood that a portfolio will incur a particular percentage of loss at the end of an investment horizon. The function is also able to calculate the within-horizon probability of loss which is estimated as a first-passage time probability.

See https://insights.windhamlabs.com/insights/rethinking-exposure-to-loss for an introduction to stress testing your portfolios and assessing a more realistic measurement of exposure to loss.

Syntax

The following describes the function signature for use in Microsoft Excel's formula bar.

=LOSSPR(mu, sigma, horizon, lossThreshold, estWithinHorizon)

Input(s)

Output(s)

Probability of loss estimate(s).

Example

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